Browsing by Author "MACIEJOWSKA, Katarzyna"

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Browsing by Author "MACIEJOWSKA, Katarzyna"

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    Title: Identification and Estimation of Sources of Common Fluctuations: New methodologies and applications  Author(s): MACIEJOWSKA, Katarzyna Date: 2010 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: This thesis addresses the problem of how to identify and model sources of common fluctuations of economic variables. It is an interesting question not only for researchers but also for policy makers and other authorities. ...
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    Title: Common Factors in Nonstationary Panel Data with a Deterministic Trend – Estimation and Distribution Theory  Author(s): MACIEJOWSKA, Katarzyna Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The paper studies large-dimension factor models with nonstationary factors and allows for deterministic trends and factors integrated of order higher then one. We follow the model specification of Bai (2004) and derive the ...
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    Title: Estimation Methods Comparison of SVAR Model with the Mixture of Two Normal Distributions – Monte Carlo Analysis  Author(s): MACIEJOWSKA, Katarzyna Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper addresses the issue of obtaining maximum likelihood estimates of parameters for structural VAR models with a mixture of distributions. Hence the problem does not have a closed form solution, numerical optimization ...
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    Title: Structural Vector Autoregressions with Markov Switching  Author(s): LUETKEPOHL, Helmut; LANNE, Markku; MACIEJOWSKA, Katarzyna Date: 2010 Type of Publication: Article Abstract: It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across states. The model ...
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    Title: Structural Vector Autoregressions with Markov Switching  Author(s): LANNE, Markku; LUETKEPOHL, Helmut; MACIEJOWSKA, Katarzyna Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Abstract. It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. ...